Our expertise is the management of funds investing in market neutral strategies. In order to successfully execute these strategies we use investment and hedging instruments across several asset classes. In doing so we are able to achieve stable returns that consistently outperform on a risk adjusted basis.
Our fund strategies suit a broad range of investors due to the low correlation with other asset classes and consistent risk adjusted return profile. For this reason banks, insurance companies, pension funds, retirement plans, family offices as well as multi-asset-funds have sought our expertise in portfolio management. In addition to providing an attractive risk-return-profile it is paramount for us to meet the specific individual needs for investors in an environment of growing regulatory challenges.
Mechanics of a tranche CDS after a credit event in the underlying basket
Pricing contingent convertibles with equity conversion feature in a distressed market environment
Performance attribution w.r.t. rates, FX, carry, and residual market risks
Introduction to extreme-value theory and its applications in Finance
Simulating the price evolution of a convertible bond in the JDCEV model
A stochastic gradient descent algorithm to maximize power utility of large credit portfolios under Marshall-Olkin dependence
Risk and portfolio management
Correction of “Portfolio optimization for credit-risky assets under Marshall-Olkin dependence”
Capital structure arbitrage
The risk reversal trade on insolvent firms
Portfolio optimization for credit-risky assets under extreme dependence
Static pricing-hedging duality for credit default swaps and the negative basis arbitrage
Dependence and risk management
Portfolio selection based on graphs: does Mr. Markowitz have his finger in the pie?
Can we retrieve the equity forward from American option prices?
On model uncertainty in credit-equity models
Carry measurement for capital structure arbitrage positions
An introduction to structural credit-equity models